Package com.opengamma.util.money

Examples of com.opengamma.util.money.MultipleCurrencyAmount

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   * @return The adjustment.
   */
  public double convexityAdjustment(final SwapFuturesPriceDeliverableSecurity futures, final HullWhiteOneFactorProviderInterface hwMulticurves) {
    ArgumentChecker.notNull(futures, "swap futures");
    ArgumentChecker.notNull(hwMulticurves, "parameter provider");
    MultipleCurrencyAmount pv = futures.getUnderlyingSwap().accept(PVDC, hwMulticurves.getMulticurveProvider());
    double price = price(futures, hwMulticurves);
    return price - (1.0d + pv.getAmount(futures.getCurrency()));
  }
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   */
  public MultipleCurrencyAmount presentValue(final BondIborTransaction bond, final IssuerProviderInterface issuerMulticurves) {
    ArgumentChecker.notNull(bond, "Bond");
    final Currency ccy = bond.getBondTransaction().getCurrency();
    final MulticurveProviderInterface multicurvesDecorated = new MulticurveProviderDiscountingDecoratedIssuer(issuerMulticurves, ccy, bond.getBondTransaction().getIssuer());
    final MultipleCurrencyAmount pvNominal = bond.getBondTransaction().getNominal().accept(PVDC, multicurvesDecorated);
    final MultipleCurrencyAmount pvCoupon = bond.getBondTransaction().getCoupon().accept(PVDC, multicurvesDecorated);
    final double settlementAmount = bond.getTransactionPrice() * bond.getBondTransaction().getCoupon().getNthPayment(0).getNotional(); //FIXME: add accrued.
    LOGGER.error("The FRN settlement amount does not include the accrued interests.");
    final PaymentFixed settlement = new PaymentFixed(bond.getBondTransaction().getCurrency(), bond.getBondTransaction().getSettlementTime(), settlementAmount);
    final MultipleCurrencyAmount pvSettlement = settlement.accept(PVDC, issuerMulticurves.getMulticurveProvider());
    return pvNominal.plus(pvCoupon).multipliedBy(bond.getQuantity()).plus(pvSettlement);
  }
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    ArgumentChecker.isTrue(bond instanceof BondFixedTransaction, "Present value from clean price only for fixed coupon bond");
    final Currency ccy = bond.getBondTransaction().getCurrency();
    final MulticurveProviderInterface multicurvesDecorated = new MulticurveProviderDiscountingDecoratedIssuer(issuerMulticurves, ccy, bond.getBondTransaction().getIssuer());
    final BondFixedTransaction bondFixed = (BondFixedTransaction) bond;
    final double dfSettle = issuerMulticurves.getMulticurveProvider().getDiscountFactor(ccy, bondFixed.getBondTransaction().getSettlementTime());
    final MultipleCurrencyAmount pvPriceStandard = MultipleCurrencyAmount.of(ccy, (cleanPrice * bondFixed.getNotionalStandard() + bondFixed.getBondStandard().getAccruedInterest()) * dfSettle);
    final MultipleCurrencyAmount pvNominalStandard = bond.getBondStandard().getNominal().accept(PVDC, multicurvesDecorated);
    final MultipleCurrencyAmount pvCouponStandard = bond.getBondStandard().getCoupon().accept(PVDC, multicurvesDecorated);
    final MultipleCurrencyAmount pvDiscountingStandard = pvNominalStandard.plus(pvCouponStandard);
    final MultipleCurrencyAmount pvNominalTransaction = bond.getBondTransaction().getNominal().accept(PVDC, multicurvesDecorated);
    final MultipleCurrencyAmount pvCouponTransaction = bond.getBondTransaction().getCoupon().accept(PVDC, multicurvesDecorated);
    final MultipleCurrencyAmount pvDiscountingTransaction = pvNominalTransaction.plus(pvCouponTransaction);
    return pvDiscountingTransaction.plus(pvDiscountingStandard.multipliedBy(-1d)).multipliedBy(bond.getQuantity()).plus(pvPriceStandard);
  }
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    final SwaptionPhysicalFixedIbor swaptionToday = definition.toDerivative(date, yieldCurveNames);
    final ZonedDateTime horizonDate = date.plusDays(daysForward);
    final double shiftTime = TimeCalculator.getTimeBetween(date, horizonDate);
    final TodayPaymentCalculator paymentCalculator = TodayPaymentCalculator.getInstance(shiftTime);
    final SwaptionPhysicalFixedIbor swaptionTomorrow = definition.toDerivative(horizonDate, yieldCurveNames);
    final MultipleCurrencyAmount paymentToday = swaptionToday.accept(paymentCalculator);
    if (paymentToday.size() != 1 || !paymentToday.getCurrencyAmounts()[0].getCurrency().equals(definition.getCurrency())) {
      throw new IllegalStateException("Expecting a single payment in the currency of the swaption");
    }
    final Currency currency = definition.getCurrency();
    final PresentValueBlackCalculator pvCalculator = PresentValueBlackCalculator.getInstance();
    final YieldCurveWithBlackSwaptionBundle tomorrowData = SWAPTION_ROLLDOWN.rollDown(data, shiftTime);
    final double result = swaptionTomorrow.accept(pvCalculator, tomorrowData) - swaptionToday.accept(pvCalculator, data) + paymentToday.getAmount(currency);
    return MultipleCurrencyAmount.of(CurrencyAmount.of(currency, result));
  }
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    final SwaptionCashFixedIbor swaptionToday = definition.toDerivative(date, yieldCurveNames);
    final ZonedDateTime horizonDate = date.plusDays(daysForward);
    final double shiftTime = TimeCalculator.getTimeBetween(date, horizonDate);
    final TodayPaymentCalculator paymentCalculator = TodayPaymentCalculator.getInstance(shiftTime);
    final SwaptionCashFixedIbor swaptionTomorrow = definition.toDerivative(horizonDate, yieldCurveNames);
    final MultipleCurrencyAmount paymentToday = swaptionToday.accept(paymentCalculator);
    if (paymentToday.size() != 1 || !paymentToday.getCurrencyAmounts()[0].getCurrency().equals(definition.getCurrency())) {
      throw new IllegalStateException("Expecting a single payment in the currency of the swaption");
    }
    final Currency currency = definition.getCurrency();
    final PresentValueBlackCalculator pvCalculator = PresentValueBlackCalculator.getInstance();
    final YieldCurveWithBlackSwaptionBundle tomorrowData = SWAPTION_ROLLDOWN.rollDown(data, shiftTime);
    final double result = swaptionTomorrow.accept(pvCalculator, tomorrowData) - swaptionToday.accept(pvCalculator, data) + paymentToday.getAmount(currency);
    return MultipleCurrencyAmount.of(CurrencyAmount.of(currency, result));
  }
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    final InstrumentDerivative instrumentToday = definition.toDerivative(date, lastMarginPrice, yieldCurveNames);
    final ZonedDateTime horizonDate = date.plusDays(daysForward);
    final double shiftTime = TimeCalculator.getTimeBetween(date, horizonDate);
    final TodayPaymentCalculator paymentCalculator = TodayPaymentCalculator.getInstance(shiftTime);
    final InstrumentDerivative instrumentTomorrow = definition.toDerivative(horizonDate, lastMarginPrice, yieldCurveNames);
    final MultipleCurrencyAmount paymentToday = instrumentToday.accept(paymentCalculator);
    if (paymentToday.size() != 1) {
      throw new IllegalStateException("Expecting a single payment in the currency of the interest rate future");
    }
    final YieldCurveBundle tomorrowData = CURVE_ROLLDOWN.rollDown(data, shiftTime);
    final Currency currency = paymentToday.getCurrencyAmounts()[0].getCurrency(); //TODO assuming that currencies are all the same
    final PresentValueCalculator pvCalculator = PresentValueCalculator.getInstance();
    final double result = instrumentTomorrow.accept(pvCalculator, tomorrowData) - instrumentToday.accept(pvCalculator, data) + paymentToday.getAmount(currency);
    return MultipleCurrencyAmount.of(CurrencyAmount.of(currency, result));
  }
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    final double valueToday = instrumentToday.accept(pvCalculator, data);

    // Compute cash flows between today and horizon
    // TODO Confirm choice that no payment is made on expiry
    final TodayPaymentCalculator paymentCalculator = TodayPaymentCalculator.getInstance(shiftTime);
    final MultipleCurrencyAmount paymentToday = instrumentToday.accept(paymentCalculator);
    if (paymentToday.size() != 1) {
      throw new IllegalStateException("Expecting a single payment in the currency of the interest rate future option");
    }

    // Compute value at horizon
    final double valueHorizon;
    if (horizon.isBefore(definition.getUnderlyingOption().getExpirationDate())) {
      final InstrumentDerivative instrumentHorizon = definition.toDerivative(horizon, lastMarginPrice, yieldCurveNames);
      final YieldCurveWithBlackCubeBundle tomorrowData = IR_FUTURE_OPTION_ROLLDOWN.rollDown(data, shiftTime);
      valueHorizon = instrumentHorizon.accept(pvCalculator, tomorrowData);
    } else {
      valueHorizon = 0.0;
    }

    final double result = valueHorizon + paymentToday.getAmount(currency) - valueToday;
    return MultipleCurrencyAmount.of(CurrencyAmount.of(currency, result));
  }
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    final InstrumentDerivative instrumentToday = definition.toDerivative(date, yieldCurveNames);
    final ZonedDateTime horizonDate = date.plusDays(daysForward);
    final double shiftTime = TimeCalculator.getTimeBetween(date, horizonDate);
    final TodayPaymentCalculator paymentCalculator = TodayPaymentCalculator.getInstance(shiftTime);
    final InstrumentDerivative instrumentTomorrow = definition.toDerivative(horizonDate, yieldCurveNames);
    final MultipleCurrencyAmount paymentToday = instrumentToday.accept(paymentCalculator);
    final YieldCurveBundle tomorrowData = CURVE_ROLLDOWN.rollDown(data, shiftTime);
    final PresentValueMCACalculator pvCalculator = PresentValueMCACalculator.getInstance();
    return subtract(instrumentTomorrow.accept(pvCalculator, tomorrowData), instrumentToday.accept(pvCalculator, data)).plus(paymentToday);
  }
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    final InstrumentDerivative instrumentToday = definition.toDerivative(date, yieldCurveNames);
    final ZonedDateTime horizonDate = date.plusDays(daysForward);
    final double shiftTime = TimeCalculator.getTimeBetween(date, horizonDate);
    final TodayPaymentCalculator paymentCalculator = TodayPaymentCalculator.getInstance(shiftTime);
    final InstrumentDerivative instrumentTomorrow = definition.toDerivative(horizonDate, yieldCurveNames);
    final MultipleCurrencyAmount paymentToday = instrumentToday.accept(paymentCalculator);
    final SmileDeltaTermStructureDataBundle tomorrowData = FX_OPTION_ROLLDOWN.rollDown(data, shiftTime);
    final PresentValueBlackSmileForexCalculator pvCalculator = PresentValueBlackSmileForexCalculator.getInstance();
    return subtract(instrumentTomorrow.accept(pvCalculator, tomorrowData), instrumentToday.accept(pvCalculator, data)).plus(paymentToday);
  }
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    final InstrumentDerivative instrumentToday = definition.toDerivative(date, yieldCurveNames);
    final ZonedDateTime horizonDate = date.plusDays(daysForward);
    final double shiftTime = TimeCalculator.getTimeBetween(date, horizonDate);
    final TodayPaymentCalculator paymentCalculator = TodayPaymentCalculator.getInstance(shiftTime);
    final InstrumentDerivative instrumentTomorrow = definition.toDerivative(horizonDate, yieldCurveNames);
    final MultipleCurrencyAmount paymentToday = instrumentToday.accept(paymentCalculator);
    final SmileDeltaTermStructureDataBundle tomorrowData = FX_OPTION_ROLLDOWN.rollDown(data, shiftTime);
    return subtract(instrumentTomorrow.accept(pvCalculator, tomorrowData), instrumentToday.accept(pvCalculator, data)).plus(paymentToday);
  }
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